A Markov process interest and mortality model

zbMATH Open1224.91062MaRDI QIDQ3077333FDOQ3077333

Publication date: 22 February 2011

Recommendations

Applications of continuous-time Markov processes on discrete state spaces (60J28) Financial applications of other theories (91G80)

Cited In (19)

Aggregate Markov models in life insurance: estimation via the EM algorithm
Actuarial present value of life insurance under stochastic discount interest driven by Markovian switching process
Scenario-based life insurance prognoses in a multi-state Markov model
Markov chain modeling of policyholder behavior in life insurance and pension
Matrix representations of life insurance payments
Application of the Markov chains in the prediction of the mortality rates in the generalized stochastic Milevsky-Promislov model
Cash flows and policyholder behaviour in the semi-Markov life insurance setup
A time‐continuous markov chain interest model with applications to insurance
On the Sensitivity of Premiums and Reserves to Changes in Valuation Elements
Phase-type representations of stochastic interest rates with applications to life insurance
Calibrating intensities for long-term care multiple-state Markov insurance model
Kolmogorov's forward PIDE and forward transition rates in life insurance
Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
Jump diffusion transition intensities in life insurance and disability annuity
Dependent interest and transition rates in life insurance
Title not available (Why is that?)
Fractional inhomogeneous multi-state models in life insurance
Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
Select mortality and other durational effects modelled by partially observed Markov Chains

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